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Category Archives: Risk

IBNR

Calculating IBNR – Process Checklist

IBNR reserve, Unearned Premium Reserve (UPR) & Premium Deficiency Reserve (PDR) IBNR reserves are a part of claims reserves estimated by insurers for reporting on their financial statements. Claims reserves are estimates of claims that have occurred on or before the financial statement report date

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Portfolio Management and Optimization – Sample Exam

Portfolio Management and Optimization Assessment This is a sample portfolio management and assessment exam used for the Executive MBA version of the course. Enrolled participants Students were given three hours to solve this assessment exam.   All question are to be solved used the exam

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Index matching portfolio optimization with Solver

Index Matching Portfolio optimization Active and passive investment management styles How much value does a trader or investment manager bring to the table? In terms of alternates, an investor can simply invest in a market based index and let market performance dictate his returns. This

Markets-Down-Brexit

The Brexit reference for dummies

Brexit reference for dummies. European Union – a brief history The European Union, previously known as the European Commission and before that as the European Economic Community was formed after World War II in 1957 with the objective of providing support for economies of its

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Dubai Training series. FX Options, CVA and ALM.

Dubai Training – Power Workshops Announcing three new Dubai training workshops (Instructor led) in our brand new Power workshop series. Planned dates are last week of July. Three in demand topics. Three days.  For Treasury, Finance, Risk, Compliance and Internal Audit team members and audiences

RCSA Process

RCSA Case study

RCSA Case study and Example. A simplified RCSA case study that showcases how the RCSA process works. We have been engaged to conduct a risk control self-assessment exercise for the front office treasury group at a bank. We are following the RCSA process presented below. RCSA case study

Oil prices and China

China Crisis. Oil prices and China dragon roll.

Oil prices and China. The key question that we need to answer is not if the Chinese economy is slowing down. It is how  China is going to drive crude oil demand for the next two years. If and when the Chinese dragon roll, which direction

IRS PFE Exposure Estimate

Potential Future Exposure – PFE Calculations for a simple IRS

Potential Future Exposure – PFE – Calculations for an Interest Rate Swap. When it comes to counter party credit risk there are two credit exposure calculation methods that we frequently see in term sheets and internal risk reporting. Pre Settlement Risk Exposure (PSR or PSRE) and

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